I think I'm using the term differently. I mean a system like this one:
http://www.hoteldiscovery.net/linkexchange/index.php which (by the way) seems to ahve stopped working as I tried to sign up another site with these and it didn't work.
Anyway you make a page to their sites and the add you to your links directory (unless their script isn't working in which case you just waste a lot of time setting up links to their sites and then taking them down).